3 papers
stat.ME2025
Bayesian Markov-Switching Partial Reduced-Rank Regression
Maria F. Pintado, Matteo Iacopini, Luca Rossini +1
Reduced-Rank (RR) regression is a powerful dimensionality reduction technique but it overlooks any possible group configuration among the responses by assuming a low-rank structure…
stat.ME2025
Static and Dynamic BART for Rank-Order Data
Matteo Iacopini, Eoghan O'Neill, Luca Rossini
Ranking lists are often provided at regular time intervals in a range of applications, including economics, sports, marketing, and politics. Most popular methods for rank-order dat…
stat.AP2025
A Quantile Nelson-Siegel model
Matteo Iacopini, Aubrey Poon, Luca Rossini +1
We propose a novel framework for modeling the yield curve from a quantile perspective. Building on the dynamic Nelson-Siegel model of Diebold et al. (2006), we extend its tradition…